2015 IEEE International Conference on Systems, Man, and Cybernetics

A Novel Fuzzy Time Series Forecasting Method

Based on Fuzzy Logical Relationships and
Similarity Measures
Shou-Hsiung Chenga,b, Shyi-Ming Chenc, and Wen-Shan Jianc
a

Department of Information Management, Chienkuo Technology University, Changhua, Taiwan

Department of Kinesiology Health Leisure Studies, Chienkuo Technology University, Changhua, Taiwan
c
Department of Computer Science and Information Engineering, National Taiwan University of Science and Technology,
Taipei, Taiwan
b

AbstractThis paper proposes a new fuzzy forecasting method

for forecasting the Taiwan Stock Exchange Capitalization
Weighted Stock Index (TAIEX) based on fuzzy time series, fuzzy
logical relationships, the K-means clustering algorithm, and
similarity measures. The proposed fuzzy forecasting method gets
higher forecasting accuracy rates than the existing methods.
Keywords-Fuzzy logical relationships; fuzzy logical relationship
groups; fuzzy sets; fuzzy time series; K-means clustering algorithm;
similarity measures.

1 , ,
and the middle point of interval is calculated as
follows:

In this paper, we present a new method for forecasting the

TAIEX [25] based on fuzzy logical relationships (FLRs), the
K-means clustering algorithm [14] and similarity measures.
The proposed fuzzy forecasting method outperforms the
existing methods [2], [3], [6], [8], [10], [11], [21], [22].
II. A NEW FUZZY TIME SERIES FORECASTING METHOD
In this section, we propose a new method for forecasting
the TAIEX. For each year, the data from January to October of
the TAIEX are used as the training data and the data from
November to December of the TAIEX are used as the testing
data.
Step 1: Let the universe of discourse ,
, where and denote the minimum
value and the maximum value of the historical training data of
the TAIEX, respectively, and and are two positive real
values to divide the universe of discourse into q intervals
, , , , of equal length , where

(1)

 ,  , (2)

978-1-4799-8697-2/15 $31.00 2015 IEEE

DOI 10.1109/SMC.2015.393

, (3)

where 1 . Based on the intervals , , ,

and , define the fuzzy sets , , , and , shown as
follows:
,

I. INTRODUCTION
Some fuzzy forecasting methods have been presented
[1]-[18], [20]-[22] based on fuzzy time series [17]-[19].
However, the forecasting accuracy rates of the existing
methods [2], [3], [6], [8], [10], [11], [21], [22] are not good
enough.

  

.
Fuzzify each historical datum of the TAIEX into a fuzzy set
[1].
Step 2: Based on [1], construct FLRs, where the repeated FLRs
are counted only once. Assume that totally FLRs are
constructed, where 1 1 and h is the number of
trading days of the historical training data of the TAIEX.
Step 3: Based on the K-means clustering algorithm [14],
cluster the FLRs obtained in Step 2 according to the subscripts
of the fuzzy sets appearing in the current states of the FLRs
into clusters and divide the obtained FLRs into fuzzy logical
relationship groups (FLRGs). For example, assume that we
obtain the following FLRs in Step 2: , ,
, , , , and
. Because the fuzzy sets appearing in the current states
of the above FLRs are , , , , , ,
and , respectively, by applying the K-means clustering
algorithm, we can cluster the subscripts , , , , ,
, , and of these fuzzy sets into clusters.
Assume that after applying the K-means clustering algorithm,
we get clusters, i.e., Cluster 1  , , Cluster 2
 , , , , and Cluster   , , where the
cluster centers of Cluster 1, Cluster 2, , and Cluster are

, , ,
, , , and , respectively,

and . For example, because Cluster 1 contains
2250

and and because subscripts of the fuzzy sets and

appearing in the current states of the FLRs and
are and , respectively, and and
belong to Cluster 1, we group the FLRs and
into the following FLRG Group :
Group : ,

where , 0, 1, 1 , and and

are the maximum value and the minimum value of the
subscripts of the fuzzy sets appearing in the current states of
the FLRs in FLRG Group , where 1 .
Step 6: Calculate the forecasting value 1 of the
historical testing datum of the TAIEX on trading day 1,
shown as follows:

Based on the obtained FLRGs Group , Group , , and

Group , get the maximum value and the minimum
value of the subscripts of the fuzzy sets appearing in the
current states of the FLRs in FLRG Group where
1 . For example, because the subscripts of the fuzzy
sets and appearing in the current states of the FLRs
in the FLRG Group are and , respectively, we
can get the maximum value  , and the
minimum value  , of the subscripts of the
fuzzy sets appearing in the current states of the FLRs in the
FLRG Group , respectively.
Step 5: Calculate the distances , , , and between
the subscript of the fuzzy set of the fuzzified historical
testing datum of the TAIEX on trading day and the cluster
centers , , , and of the clusters Cluster 1,
Cluster 2, , and Cluster obtained in Step 3, respectively,
where
,

(4)

and 1 . If is the minimum value among the values

, , , and , then choose the FLRs appearing in the
FLRG Group to calculate the forecasting value of the
historical testing datum of the TAIEX on trading day 1,
where 1 .
Step 5: Assume that the chosen FLRG Group contains the
following FLRs:
,
,

.
Because the subscript of the fuzzy set of the fuzzified
historical testing datum of the TAIEX on trading day is ,
based on the maximum value and the minimum value
of the subscripts of the fuzzy sets appearing in the
current states of the FLRs in FLRG Group , where
1 , calculate the degree of similarity , between
the subscript of the fuzzy set of the fuzzified historical
testing datum of the TAIEX on trading day and the subscript
of the fuzzy set appearing in the current state of the
th FLR in the chosen FLRG Group , where 1 and
1 , shown as follows:
, 1



(5)

(6)

where and are the subscripts of the fuzzy sets and

appearing in the current state and the next state
of the th FLR in the chosen FLRG Group ,
respectively, where 1 and 1 , , is the
degree of similarity between the subscript of the the fuzzy
set of the fuzzified historical testing datum of the TAIEX
on trading day and the subscript of the fuzzy set in
the current state of the th FLR in the chosen FLRG Group
, where 1 and 1 , is the interval
length of each interval in the universe of discourse , the
fuzzified historical testing datum of the TAIEX on trading day
is , the maximum membership value of fuzzy set
occurs at interval , and the middle point of interval is
.
In the following, an example is used to illustrate the
forecasting process of the proposed method to forecast the
TAIEX of 2004.
[Step 1] Because the minimum value and the maximum
value of the historical training data of the TAIEX in
2004 are 5316.87 and 7034.10, respectively, i.e.,
5316.87 and 7034.10, we let 16.87 and
65.90 to let the universe of discourse ,
5316.8716.87, 7034.10 65.90 5300,
7100. We divide into 122 intervals , , , , ,
and , i.e., the number of intervals 122. Based
on Eq. (1), we can get the interval length of each
interval of the universe of discourse , where

14.75. Based on Eq. (2),

we can get the intervals , , , , , and

in the universe of discourse , where 5300, 5314.75,
5314.75, 5329.50 , 5329.50, 5344.25 , ,
7055.75, 7070.50, 7070.50, 7085.25 and
7085.25, 7100. Based on the intervals , , ,
, and , we define the fuzzy sets , , , and
, shown as follows:
,
,

.
Then, the historical training data of the TAIEX are fuzzified
into the above defined fuzzy sets. For example, because the
historical training datum 6041.56 of the TAIEX on January
2, 2004, belongs to the interval 6037.50, 6052.25 and
the fuzzy set whose maximum membership value occurs

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at the interval , 6041.56 is fuzzified into the fuzzy set

. In the same way, the other fuzzified historical training
data and the fuzzified historical testing data of the TAIEX can
be obtained, respectively.
[Step 2] Because the fuzzified historical training datum
6041.56 of the TAIEX on January 2, 2004, is and
because the fuzzified historical training datum 6125.42 of the
TAIEX on January 5, 2004, is , we can construct a FLR
. In the same way, we can get the other
constructed FLRs.
[Step 3] The fuzzy sets appearing in the current states of the
FLRs are , , , , , , , , ,
, , , , , , , , ,  , ,
, , , , , , , , , , ,
, , , , , , , , , ,
, ,  , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , , ,
, , , , , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , and
, respectively, where the subscripts of these fuzzy sets are
51, 56, 58, 58, 59, 63, 63, 62, 67, 66, 66, 74, 74, 69, 73, 70, 65,
64, 66, 72, 79, 81, 79, 78, 85, 86, 89, 89, 94, 93, 93, 88, 92, 95,
99, 108, 114, 111, 118, 112, 109, 114, 107, 108, 102, 91, 88,
87, 101, 103, 72, 60, 62, 59, 57, 80, 81, 83, 83, 85, 94, 91, 92,
94, 90, 101, 102, 108, 98, 103, 102, 103, 98, 99, 96, 92, 87, 75,
56, 50, 61, 38, 42, 51, 36, 40, 45, 42, 33, 13, 18, 39, 35, 46, 44,
45, 50, 50, 57, 46, 47, 40, 26, 29, 44, 47, 46, 39, 30, 19, 24, 18,
25, 19, 18, 30, 33, 35, 28, 30, 37, 37, 31, 25, 30, 30, 29, 33, 32,
27, 22, 17, 14, 13, 2, 8, 6, 6, 3, 7, 6, 4, 9, 4, 5, 2, 9, 7, 7, 5, 5, 7,
4, 3, 9, 21, 22, 25, 35, 34, 34, 32, 38, 38, 32, 33, 38, 37, 38, 43,
43, 39, 41, 36, 39, 45, 44, 41, 38, 35, 37, 44, 53, 53, 52, 55, 55,
54, 47, 45, 37, 36, 34, 33, 25, 24 and 27, respectively. After
applying the K-means clustering algorithm [14] to cluster these
subscripts into 3 clusters, we can get
Cluster 1 = {13, 18, 26, 29, 30, 19, 24, 18, 25, 19, 18, 30, 28,
30, 31, 25, 30, 30, 29, 27, 22, 17, 14, 13, 2, 8, 6, 6, 3, 7, 6, 4, 9,
4, 5, 2, 9, 7, 7, 5, 5, 7, 4, 3, 9, 21, 22, 25, 25, 24, 27},
Cluster 2 = {51, 56, 58, 58, 59, 63, 63, 62, 67, 66, 66, 69, 65,
64, 66, 60, 62, 59, 57, 56, 50, 61, 38, 42, 51, 36, 40, 45, 42, 33,
39, 35, 46, 44, 45, 50, 50, 57, 46, 47, 40, 44, 47, 46, 39, 33, 35,
37, 37, 33, 32, 35, 34, 34, 32, 38, 38, 32, 33, 38, 37, 38, 43, 43,
39, 41, 36, 39, 45, 44, 41, 38, 35, 37, 44, 53, 53, 52, 55, 55, 54,
47, 45, 37, 36, 34, 33},
Cluster 3 = {74, 74, 73, 70, 72, 79, 81, 79, 78, 85, 86, 89, 89,
94, 93, 93, 88, 92, 95, 99, 108, 114, 111, 118, 112, 109, 114,
107, 108, 102, 91, 88, 87, 101, 103, 72, 80, 81, 83, 83, 85, 94,
91, 92, 94, 90, 101, 102, 108, 98, 103, 102, 103, 98, 99, 96, 92,
87, 75},

where the cluster centers , and of Cluster 1,

Cluster 2 and Cluster 3 are 16.22, 46.15 and 92.63,
respectively, i.e., 16.22, 46.15 and 92.63.
The fuzzy sets appearing in the current states of the FLRs
, , , ,
, , , ,
, , , ,
, , , ,
, , , ,
, , , ,
, , , , ,
, , , , ,
, , , , ,
, , , , ,
, , , ,
, and are , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , , , , ,
, , , , , , , , , , , and
, respectively, where the subscripts of the fuzzy sets ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , , , , ,
, , , , , , , , , , , ,
and are 13, 18, 26, 29, 30, 19, 24, 18, 25, 19, 18, 30, 28,
30, 31, 25, 30, 30, 29, 27, 22, 17, 14, 13, 2, 8, 6, 6, 3, 7, 6, 4, 9,
4, 5, 2, 9, 7, 7, 5, 5, 7, 4, 3, 9, 21, 22, 25, 25, 24 and 27,
respectively, whose subscripts belong to Cluster 1. Therefore,
we group these FLRs into the FLRG Group . In the same
way, based on the data appearing in Cluster 2, we can construct
a FLRG Group ; based on the data appearing in Cluster 3,
we can construct the FLRG Group . The fuzzy sets
appearing in the current states of the FLRs shown in the FLRG
Group are , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , , , ,
, , , , , , , , , , , , ,
, , , , and , respectively, where the
subscripts of these fuzzy sets are 13, 18, 26, 29, 30, 19, 24, 18,
25, 19, 18, 30, 28, 30, 31, 25, 30, 30, 29, 27, 22, 17, 14, 13, 2,
8, 6, 6, 3, 7, 6, 4, 9, 4, 5, 2, 9, 7, 7, 5, 5, 7, 4, 3, 9, 21, 22, 25,
25, 24 and 27, respectively. Therefore, based on the subscripts
of the fuzzy sets appearing in the current states of the FLRs
shown in the FLRG Group , we can get the maximum value
and the minimum value of the subscripts of these
fuzzy sets, respectively, where 31 and 2. In
the same way, the fuzzy sets appearing in the current states of
the FLRs shown in the FLRG Group are , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , , ,
, , , , , and , respectively, where
the subscripts of these fuzzy sets are 51, 56, 58, 58, 59, 63, 63,
62, 67, 66, 66, 69, 65, 64, 66, 60, 62, 59, 57, 56, 50, 61, 38, 42,
51, 36, 40, 45, 42, 33, 39, 35, 46, 44, 45, 50, 50, 57, 46, 47, 40,

2252

44, 47, 46, 39, 33, 35, 37, 37, 33, 32, 35, 34, 34, 32, 38, 38, 32,
33, 38, 37, 38, 43, 43, 39, 41, 36, 39, 45, 44, 41, 38, 35, 37, 44,
53, 53, 52, 55, 55, 54, 47, 45, 37, 36, 34 and 33, respectively.
Therefore, based on the subscripts of the fuzzy sets appearing
in the current states of the FLRs shown in the FLRG Group
, we can get the maximum value and the minimum
value of the subscripts of these fuzzy sets, respectively,
where 69 and 32. In the same way, the
fuzzy sets appearing in the current states of the FLRs of the
FLRG Group are , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , , ,
, , , , , , , , , ,
, , , , , , , , , , ,
, , , , , , , , and ,
respectively, where the subscripts of these fuzzy sets are 74,
74, 73, 70, 72, 79, 81, 79, 78, 85, 86, 89, 89, 94, 93, 93, 88, 92,
95, 99, 108, 114, 111, 118, 112, 109, 114, 107, 108, 102, 91,
88, 87, 101, 103, 72, 80, 81, 83, 83, 85, 94, 91, 92, 94, 90, 101,
102, 108, 98, 103, 102, 103, 98, 99, 96, 92, 87 and 75,
respectively. Therefore, based on the subscripts of the fuzzy
sets appearing in the current states of the FLRs shown in the
FLRG Group , we can get the maximum value and
the minimum value of the subscripts of these fuzzy sets,
respectively, where 118 and 70.
[Step 4] Based on Eq. (4), we can calculate the distances ,
and between the subscript of the fuzzy set of
the fuzzified historical testing datum of the TAIEX on trading
day and the cluster centers , and of the clusters
Cluster 1, Cluster 2 and Cluster 3 obtained in Step 3,
respectively. For example, assume that we want to forecast the
value of the TAIEX on November 2, 2004. We can see that the
fuzzified historical testing datum of the TAIEX on November
1, 2004, is , where the subscript of the fuzzy set is 25.
Based on Eq. (4) and the cluster center 16.22 of
Cluster 1 obtained in Step 3, we can calculate the distance
between the subscript 25 of the fuzzy set of the
fuzzified historical testing datum of the TAIEX on November
1, 2004, and the cluster center 16.22 of Cluster 1, where
2516.22 8.78. In the same way, based on Eq. (4)
and the cluster center 46.15 of Cluster 2 obtained in
Step 3, we can calculate the distance between the subscript
25 of the fuzzy set of the fuzzified historical testing
datum of the TAIEX on November 1, 2004, and the cluster
center 46.15 of Cluster 2, where 2546.15
21.15. In the same way, based on Eq. (4) and the cluster center
92.63 of Cluster 3 obtained in Step 3, we can calculate
the distance between the subscript 25 of the fuzzy set
of the fuzzified historical testing datum of the TAIEX on
November 1, 2004, and the cluster center 92.63 of
Cluster 3, where 25 92.63 67.63. Because the
minimum value among the values , and is , we
choose the FLRs appearing in the FLRG Group to forecast
the value of the TAIEX on November 2, 2004.
[Step 5] Because the maximum value and the minimum
value of the subscripts of the fuzzy sets appearing in the
current states of the FLRs shown in the FLRG Group
obtained in Step 3 are 31 and 2, respectively, i.e., 31
and 2, based on Eq. (5), we can calculate the degree

of similarity 25, 13 between the subscript 25 of the

fuzzy set of the fuzzified historical testing datum of the
TAIEX on November 1, 2004, and the subscript 13 of the
fuzzy sets appearing in the current state of the first
FLR in the FLRG Group , where
25, 13 1

1 0.41
0.59.
In the same way, we can calculate the degrees of similarity
between the subscript 25 of the fuzzy set of the
fuzzified historical testing datum of the TAIEX on November
1, 2004, and the subscripts of the fuzzy sets appearing in the
current states of the other FLRs in the FLRG Group ,
respectively.
[Step 6]
1) We can see that the current state and the next state of the
first FLR in the FLRG Group are
and , respectively, where the subscripts of the fuzzy
sets and are 13 and 18, respectively, i.e.,
13 and 18. Moreover, we can see that the degree of
similarity 25, 13 between the subscript 25 of the
fuzzy set of the fuzzified historical testing datum of
the TAIEX on November 1, 2004, and the subscript 13
of the fuzzy sets appearing in the current state
of the first FLR shown in the FLRG Group
is 0.59, i.e., 25, 13 0.59.

51) We can see that the current state and the next state of the
51st FLR in the FLRG Group are
and , respectively, where the subscripts of the fuzzy
sets and are 27 and 28, respectively, i.e.,
27 and 28. Moreover, we can see that the degree of
similarity 25, 27 between the subscript 25 of the
fuzzy set of the fuzzified historical testing datum of
the TAIEX on November 1, 2004, and the subscript 27 of
the fuzzy sets appearing in the current state of
the 51st FLR in the FLRG Group is
0.93, i.e., 25, 27 0.93.
Because 14.75 and because the fuzzified historical
testing datum of the TAIEX on November 1, 2004, is ,
where the fuzzy set whose maximum membership value
occurs at the interval 5654, 5668.75 and the middle

point of the interval is equal to

5661.38, i.e., 5661.38, based on Eq. (6), we can

calculate the forecasting value  of the
TAIEX on November 2, 2004, where


5661.38

 

 




14.7

5682.33.
III. EXPERIMENTAL RESULTS
For forecasting the TAIEX, the data from January to
October of each year are used as the training data and the data
from November to December of each year are used as the

2253

Table I shows that the average RMSE of the proposed method

outperforms the existing methods [2], [3], [6], [8], [10], [11],
[21], [22]. Table II shows that the average RMSE of the
proposed method outperforms the existing methods [3], [6],
[21].

testing data. The performance is evaluated by the root mean

square error (RMSE), where





(7)

and the number of trading dates needed to be forecasted is .

TABLE I. THE RMSES AND THE AVERAGE RMSE OF THE PROPOSED METHOD FOR FORECASTING THE TAIEX FROM 1999 TO 2004
Method

1999

2000

2001

2002

2003

2004

Average
RMSE

The Proposed Method

(Using 122 Intervals and 3 Clusters)

101.09

126.84

116.90

65.14

54.06

55.99

86.67

TABLE II. THE RMSES AND THE AVERAGE RMSE OF THE PROPOSED METHOD FOR FORECASTING THE TAIEX FROM 1990 TO 1999
Method

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

Average
RMSE

The Proposed Method

(Using 122 Intervals and 3 Clusters)

184.83

41.91

43.90

107.22

78.39

55.75

51.24

132.61

117.65

101.09

91.46

[10] K. Huarng, Heuristic models of fuzzy time series for forecasting,

Fuzzy Sets and Systems, vol. 123, no. 3, pp. 369-386, 2001.
[11] K. Huarng, T. H. K. Yu, and Y. W. Hsu, A multivariate heuristic model
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trapezoidal fuzzy numbers, Fuzzy Optimization and Decision Making,
vol. 6, no. 1, pp. 63-80, 2007.

IV. CONCLUSIONS
We have proposed a method to forecast the TAIEX using
fuzzy time series, FLRs, the K-means clustering algorithm, and
similarity measures. From Table I and Table II, we can see that
the proposed method outperforms the existing methods [2], [3],
[6], [8], [10], [11], [21], [22] for forecasting the TAIEX.
ACKNOWLEDGMENTS
This work was supported in part by the Chienkuo
Technology University, Changhua, Taiwan, under Grant
CTU-103-RP-KH-001-019-A, and was supported in part by
Ministry of Science and Technology, Republic of China, under
Grant MOST 103-2221-E-011-108-MY2.
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